Applying a material to a model which has preassigned materials
Select your object. Tab into edit mode.

Hit P. It will bring up 3 options


Selection
Loose Parts
By Material


Since you are asking about adding materials to different parts, you probably don't already have them.
If th mesh isn't solid (i.e., body, head and hat don't share vertexes) take the "Loose Parts" path.



This will turn each part of the mesh into a separate object. They can be colored separately.



alternately, you can mouse over a part of the mesh and hit L. follow this answer to color the selection.